The main goal of this article is to provide an answer to the question: does anything forecast
exchange rates, and if so, which variables? It is well known that exchange rate fluctuations …

Financial market volatility is an important input for investment, option pricing, and financial
market regulation. The emphasis of this review article is on forecasting instead of modelling; …

We provide a framework for integration of high–frequency intraday data into the
measurement, modeling, and forecasting of daily and lower frequency return volatilities and …

This paper introduces the model confidence set (MCS) and applies it to the selection of
models. A MCS is a set of models that is constructed such that it will contain the best model …

Forecast evaluation often compares a parsimonious null model to a larger model that nests
the null model. Under the null that the parsimonious model generates the data, the larger …

This paper studies the role of fluctuations in the aggregate consumption–wealth ratio for
predicting stock returns. Using US quarterly stock market data, we find that these fluctuations …

We propose a framework for out‐of‐sample predictive ability testing and forecast selection
designed for use in the realistic situation in which the forecasting model is possibly …

We propose methods for evaluating density forecasts. We focus primarily on methods" that
are applicable regardless of the particular user's loss function. We illustrate the methods" …

We propose a new test for superior predictive ability. The new test compares favorably to the
reality check (RC) for data snooping, because it is more powerful and less sensitive to poor …

We examine the asymptotic and finite-sample properties of tests for equal forecast accuracy
and encompassing applied to 1-step ahead forecasts from nested linear models. We first …